Liming Feng

Assistant Professor

Liming Feng received his Ph.D. degree in Industrial Engineering and Management Sciences from Northwestern University in June 2006. He holds a B.S. from Beijing Normal University and M.S. from Northwestern University, both in mathematics. Liming Feng's research interests are in financial engineering, applied probability and stochastic modeling. He is currently interested in high performance computational methods for jump-diffusion and Levy processes with applications in mathematical and computational finance.

Selected Publications

L. Feng and V. Linetsky. 2006. Pricing Discretely Monitored Barrier Options and Defaultable Bonds in Levy Process Models: A Hilbert Transform Approach. Under Review for Mathematical Finance.

L. Feng and V. Linetsky. 2006. Pricing Options in Jump-Diffusion Models: an Extrapolation Approach. Under Review for Operations Research.

Contact Information
Office: 216a Transportation Building
Mailing Address:
117 Transportation Building MC-238
104 S. Mathews Ave.
Urbana IL 61801
Phone: (217) 244-5176
Fax: (217) 244-5705
e-mail: fenglm@illinois.edu

Education
PhD, Northwestern University, Industrial Engineering and Management Sciences
MS, Northwestern University, Mathematics
BS, Beijing Normal University, Mathematics

Research Interests
Financial Engineering, Applied Probability and Stochastic Modeling

Links

https://netfiles.uiuc.edu/fenglm/www/

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